cvar准则下考虑缺货成本的.pdf

Management Science and Engineering 管理科学与工程, 2015, 4, 23-29 Published Online June 2015 in Hans. /journal/mse /10.12677/mse.2015.42004 Study on Newsvendor Model with Lost Sale Penalty Cost under Criterion of Profit-CVaR Pengfei Liu1,2*, Siyun He1 1 School of Transportation, Changsha University of Science Technology, Changsha Hunan 2 Key Laboratory of Highway Engineering Ministry of Education, Changsha University of Science Technology, Changsha Hunan * Email: pengfei71@163.com, 376493006@ th th th Received: Jun. 5 , 2015; accepted: Jun. 20 , 2015; published: Jun. 25 , 2015 Copyright © 2015 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract In this paper, in a profit-CVaR framework, we study the impact of lost sale penalty cost and ex- pected profit weight on a risk aversion newsvendor’s optimal ordering quantity. A combination of the expected profit and CVaR is proposed, which reflects the desire of the risk-averse newsvendor to maximize the profit on the one hand and minimize the downside risk of the profit on the other hand. By using the combination as an objective function, the ordering strategies of the newsven- dor are studied. We show that when there is lost sale penalty cost, the optimal ordering quantity depends on degree of risk aversion, expected profit weight and value of shortage cost. And then we illustrate our findings by examples. Keywords Newsvendor Model, Risk Aversion, Profit-CVaR, Lost Sale Penalty Cost 利润-CVaR准则下考虑缺货成本 的报童模型研究 1,2* 1 刘鹏飞 ，贺思云 1长沙理工大学交通运输工程学院，湖南 长沙 2长沙